Valuation of Investment Guarantee Insurance Products
碩士 === 東吳大學 === 財務工程與精算數學系 === 97 === Based on the unsurance regulation, implentation of pricing and reserving for investment guarantee insurance products using Monte Carlo simulation are discussed. Regime-switching lognormal model (RSLN) is assumed to describe the investment return. In this paper,...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2009
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| Online Access: | http://ndltd.ncl.edu.tw/handle/50417805258365832028 |
| Summary: | 碩士 === 東吳大學 === 財務工程與精算數學系 === 97 === Based on the unsurance regulation, implentation of pricing and reserving for investment guarantee insurance products using
Monte Carlo simulation are discussed.
Regime-switching lognormal model (RSLN) is assumed to describe the investment return.
In this paper, we adopt equivalence principle to calculate margin offset at risk neutral scenarios.
Value at risk (VaR) and conditional tail expectation (CTE) are used to explore adequacy of margin offset.
Reserving calculation follows the Actuarial Guideline (AG) draft from National Association of Insurance commissioners
(NAIC). An numerical example is illustrated the calculation procedure. Finally, it is also discused the effect of the performance
of products with regards to the state of capital market.
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